Through Gravitational interactions, the same way a cloud of baryonic matter is formed. The only difference is that over time the cloud of baryonic matter will condense (usually into a star) because the electromagnetic interactions between particles cause the already-formed cloud to radiate away energy, thus lowering the velocities of individual particles and condensing the cloud. But the formation of the cloud in the first place is entirely due to gravity, so there is nothing stopping a cloud of dark matter from forming. It's just that the cloud of dark matter, once formed, won't condense the way normal matter does. So what you end up with a huge cloud of dark matter the size of a galaxy.